International shocks and national house prices
Andrea Beltratti and
Claudio Morana ()
ICER Working Papers - Applied Mathematics Series from ICER - International Centre for Economic Research
The paper investigates linkages between general macroeconomic conditions and the housing market for the G-7 area. Among the key results of the paper, it is found that the US are an important source of global fluctuations not only for real activity, nominal variables and stock prices, but also for housing prices. Yet, also regional factors may be relevant to account for house prices dynamics. Secondly, albeit distinct driving forces for real activity and ?nancial factors can be pointed out, sizeable global interactions can be found. In particular, global supply-side shocks are found to be important determinant of G-7 house prices fluctuations. The linkage between housing prices and macroeconomic developments is however bidirectional, since evidence of signi?cant wealth e¤ects can be found, with investment showing in general a stronger reaction than consumption and output.
Keywords: G7; house prices; international business cycle; factor vector autoregressive models; common factors (search for similar items in EconPapers)
JEL-codes: C22 E31 E32 (search for similar items in EconPapers)
Pages: 36 pages
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Persistent link: https://EconPapers.repec.org/RePEc:icr:wpmath:14-2008
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